OFR Short-term Funding Monitor - Market Digests
Short-term funding markets often require that borrowers pledge securities as collateral against the possibility they may default on a loan. Types of collateral vary and can influence the rate of return charged for short-term funding and the willingness of lenders to extend such funding. The types of securities that appear as collateral can also indicate the security positions for which borrowers need financing. These charts present insights into the types of collateral used to secure funding across various short-term funding markets.
Tri-party repo transaction volume by collateral type
Transaction volume in tri-party repo market broken out by type of collateralSkip the Chart
In tri-party repurchase (repo) transactions, participants know their counterparty, but transact against classes of collateral, rather than specific securities. As a result, tri-party repo is used only for financing, and not for obtaining specific securities. A custodian, usually a bank, maintains post-trade processing activities such as collateral selection, payments and deliveries, custody of collateral securities, and collateral management. Borrowers in tri-party repo tend to be larger dealers to which cash lenders are willing to be directly exposed.
This chart shows a breakdown of tri-party repo volumes by the underlying security used as collateral. Looking at the volume of repo secured by each type of collateral provides a sense of which securities borrowers want to finance. Large movements in these volumes can indicate changes in demand for financing specific types of securities.
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Office of Financial Research, “OFR Short-term Funding Monitor,” refreshed daily, https://www.financialresearch.gov/short-term-funding-monitor/ (accessed ).